Difference between revisions of "Putoption"

Latest revision as of 20:51, 24 May 2016

Function Putoption(s, x, t, r, theta)

Calculates the value of a put option using the Black-Scholes formula.

Syntax:

Putoption(s, x, t, r, theta: Numeric)

Parameters:

«s»: the current price of the security
«x»: the exercise price
«t»: the time in years to exercise
«r»: the risk-free interest rate
«theta»: the volatility of the security

Function definition:

USING d1 := (ln(S/X) + (t*(r + (0.5*theta^2))))/(theta*t^0.5)

DO (x*exp(-r*t)*CumNormal(-d1 + (theta*t^0.5)) - (s*CumNormal(-d1))

Library

Financial library functions (Financial Library.ana)

Use File → Add Library... to add this library

Example

Putoption(50, 50, 0.25, 0.05, 0.3) → 2.67

@@ Line 1: / Line 1: @@
+[[Category:Financial library functions]]
 [[Category:Doc Status C]] <!-- For Lumina use, do not change -->
+==Function Putoption(s, x, t, r, theta)==
+Calculates the value of a put option using the Black-Scholes formula.
+[[Syntax]]:
+:[[Putoption]](s, x, t, r, theta: Numeric)
+Parameters:
+;«s»: the current price of the security
+;«x»: the exercise price
+;«t»: the time in years to exercise
+;«r»: the risk-free interest rate
+;«theta»: the volatility of the security
-===Function Putoption(s,x,t,r,theta)===
+Function definition:
-Calculates the value of a put option using the Black-Scholes formula.
+:<code>USING d1 := (ln(S/X) + (t*(r + (0.5*theta^2))))/(theta*t^0.5)</code>
+::<code>DO  (x*exp(-r*t)*CumNormal(-d1 + (theta*t^0.5)) - (s*CumNormal(-d1))</code>
-;Example
+==Library==
- Putoption(50, 50, 0.25, 0.05, 0.3) &rarr; 2.67
+[[Financial library functions]] ([[media:Financial Library.ana|Financial Library.ana]])
+:Use [[File  menu|File]] &rarr; '''Add Library...''' to add this library
-; Expects: '''s''', '''x''', '''t''', '''r''', and '''theta''', all to be numeric.
+==Example==
+:<code>Putoption(50, 50, 0.25, 0.05, 0.3) &rarr; 2.67</code>
-; Parameters: '''s''' is the current price of the security;<br>'''x''' is the exercise price;<br>'''t''' is the time in years to exercise;<br>'''r''' is the risk-free interest rate;<br>'''theta''' is the volatility of the security
+==See also==
-; Function definition: USING d1 := (ln(S/X) + (t * (r + (0.5 * theta^2))))/(theta * t^0.5)<br>DO  (x * exp(-r * t) * Cumnormal(-d1 + (theta * t^0.5)) - (s * Cumnormal(-d1))
+* [[CumNormal]]
-; [[Syntax]]: Putoption(s,x,t,r,theta:Numeric)
+* [[Calloption]]
-; Library: [[Financial library functions]]
+* [[Capm]]
-; More Examples and Tips:  ''None yet.''
+* [[Pvperp]]
+* [[media:Financial Library.ana|Financial Library.ana]]
+* [[Financial library functions]]
+* [[Financial functions]]